Market Neutral = Low Volatility

Weekly Rebalance = Adaptive

Long/Short = Hedged

Lucena Research

Lucena Strategies

What is Utilities?

The Utilities Live portfolio consists of up to ten securities from the Russell 1000 that together minimize tracking error against the XLU. The portfolio’s goal is to track the Utilities Sector Select SPDR ETF (XLU) aiming to achieve higher Sharpe Ratio through active rebalancing. In addition, using Lucena’s machine learning optimization engine (MVO combined with Lucena’s Forecaster) we optimize every two weeks for maximum risk adjusted return (max Sharpe Ratio). Rebalancing trades are executed every other Thursday. In addition, there is a trailing stop loss per security of 12%.

The concept behind Utilities is to compile a basket of securities that together track the XLU but individually reflect a higher beta. The active rebalancing for a max risk adjusted return results in consistent outperformance while still maintaining lower volatility overall.

Full ReportThe above live results represents quantitative research and should not be considered as investment advice, or solicitation to buy or sell securities.

Lucena Research is a technology company and everything presented here is derived from quantitative research. The information above is intended for certified investment professionals who understand the inherit risk of investing. It should not be assumed that the above live results will be repeatable in the future. Detailed list of securities and the factors used for their selection criteria is available upon request.

Full ReportThe above backtest represents quantitative research and should not be considered as investment advice, or solicitation to buy or sell securities.

Lucena Research is a technology company and everything presented here is derived from quantitative research. The information above is intended for certified investment professionals who understand the inherit risk of investing. It should not be assumed that the above backtest results will be repeatable in the future. Detailed list of securities and the factors used for their selection criteria is available upon request.

Disclaimer: This information has been prepared by Lucena Research Inc. and is intended for informational purposes only. This information should not be construed as investment, legal and/or tax advice. Additionally, this content is not intended as an offer to sell or a solicitation of any investment product or service. Do not take the opinions expressed explicitly or implicitly in this communication as investment advice. The opinions expressed are based on statistical forecasting which is based on historical data analysis. Past performance does not guarantee future success. In addition, the assumptions and the historical data based on which an opinion is made could be faulty. All results and analyses expressed are hypothetical and are NOT guaranteed. All Trading involves substantial risk. Leverage Trading has large potential reward but also large potential risk. Never trade with money you cannot afford to lose. If you are neither a registered nor a certified investment professional this information is not intended for you. Please consult a registered or a certified investment advisor before risking any capital.